Please find below a selection of teaching material from my recent courses. If you spot a mistake on any of those slides or problem sets, please let me know. Some set of slides might be password-protected. Please feel free to reach out if you want to get access to those slides.
Current Courses at Tilburg University
Valuation and Risk Management (Fall 2023, TiSEM, graduate), first half of the course
Lecture Slides: Download
- §1 Introduction to Financial Modeling (Annotations)
- §2 Generic State Space Model (Annotations)
- §3 Contingent Claim Pricing (Annotations)
- §4 Fixed Income Modeling (Annotations)
- §5 A Brief Introduction to Credit Risk (Annotations)
Problem sets and additional material:
Life Insurance (Spring 2023, TiSEM, undergraduate), second half of the course
Lecture slides with annotations: Download
Part III: Macro Longevity Risk
- §1 Introduction
- §2 Relevance of Macro Longevity Risk
- §3 Modeling Mortality
- §4 Benchmark Model
- §5 AG2022 Model and COVID-19
- §6 Model Risk
Part IV: Pricing under all Types of Risk
Problem set:
Asset Liability Management (Spring 2023, TiSEM, graduate), second part of the course.
Lecture Slides with annotations (password required): Download
Part II: Credit Risk Management — Contents and sample chapter:
- §1 Credit and Liquidity Risk
- §2 Physical Default Probabilities
- §3 Credit Default Swaps
- §4 Structural Models (Annotations)
- §5 Portfolio Optimization with Corporate Bonds
Part III: Climate Finance — Material is coming soon
Since I will be taking over the third part of the course taught by Servaas van Bilsen in 2024, there will be much more material coming out soon. The newly designed third part of this course will be dealing with recent models on climate finance.
Former Courses taught in Frankfurt
Advanced Financial Economics (Winter 2021/22, GSEFM, Frankfurt, PhD course)
Lecture slides:
- §1 Option Pricing in Partial Equilibrium (Annotations)
- §2 General Equilibrium Asset Pricing (Annotations)
- §3 Habit Formation and Asset Pricing (Annotations)
- §4 Recursive Utility (Annotations)
- §5 Long-run Risk and Asset Pricing (Annotations)
- §6 Disaster Risk and Asset Pricing (Annotations)
- §7 Summary of Benchmark Models (Annotations)
- §8 Heterogeneity (Annotations)
Problem sets:
Capital Markets and Asset Pricing (Summer 2022, GBS, Frankfurt, graduate)
Lecture slides with annotations (password required): Download
Contents and sample chapter:
- §1 Introduction to Capital Markets
- §2 Fixed Income Securities
- §3 Option Pricing (Annotations)
- §4 Credit and Liquidity Risk
- §5 CAPM vs. APT
Problem sets:
Exams:
Finanzderivate und Risikomanagement (Summer 2021, Goethe University Frankfurt, undergraduate, taught in German)
Lecture slides:
- §1 Einführung in Finanzderivate (Annotations)
- §2 Optionsbewertung im Einperiodenmodell (Annotations)
- §3 Optionsbewertung in Binomialbäumen (Annotations)
- §4 Amerikanische Optionen (Annotations)
- §5 Black-Scholes-Modell (Annotations)
- §6 Bewertung von Zinsderivaten (Annotations)
- §7 Bewertung von Ausfallrisiken (Annotations)
Problem sets:
- Problem Set 1 (Solution)
- Problem Set 2 (Solution)
- Problem Set 3 (Solution, Excel)
- Problem Set 4 (Solution, Excel)
- Problem Set 5 (Solution, Excel)
Exams:
